Cross-validation of the economic significance of factors in security returns

Recently, researchers have indicated that factor analysis of security returns produces only a single statistically significant factor, but they did not investigate the economic significance of the derived factors. Using datasets constructed so as to minimize serial correlation, the cross-validation...

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Veröffentlicht in:	Journal of business research 1994-09, Vol.31 (1), p.33-38
1. Verfasser:	Upton, David E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic models Economic theory Rates of return Securities trading Statistical analysis
Online-Zugang:	Volltext
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